Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0766 |
| Annualized Std Dev | 0.1886 |
| Annualized Sharpe (Rf=0%) | 0.4061 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3992.0000 |
| NAs | 1.0000 |
| Minimum | -0.0934 |
| Quartile 1 | -0.0039 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1105 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0119 |
| Skewness | -0.0901 |
| Kurtosis | 12.7030 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0087 |
| Loss Deviation | 0.0098 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5381 |
| Historical VaR (95%) | -0.0177 |
| Historical ES (95%) | -0.0297 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0175 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-05-15 | -0.5381 | 1409 | 355 | 1054 |
| 2020-02-20 | 2020-03-23 | 2020-07-10 | -0.3084 | 99 | 23 | 76 |
| 2018-09-21 | 2018-12-24 | 2019-04-23 | -0.2027 | 146 | 65 | 81 |
| 2015-07-21 | 2015-08-25 | 2016-04-20 | -0.1340 | 190 | 26 | 164 |
| 2020-09-03 | 2020-09-23 | 2020-12-28 | -0.1144 | 80 | 14 | 66 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | 0.9 | 0 | 0.5 | 0.2 | -0.4 | -0.4 | 0.8 | -0.5 | 1 |
| 2006 | 0.4 | 0.6 | -0.4 | -0.7 | 1.1 | -0.2 | -0.4 | 0.4 | -0.1 | -0.4 | -0.3 | -0.3 | -0.3 |
| 2007 | 0.1 | -0.2 | -0.2 | 0.3 | 0.3 | -0.3 | 0.9 | 0.9 | 1.4 | -2.5 | 0.8 | -0.8 | 0.8 |
| 2008 | 0.5 | -2.5 | 3.7 | 2 | 0.1 | 0 | -0.5 | -1.3 | 0.2 | 0.8 | -8.5 | 0.9 | -4.7 |
| 2009 | -1.9 | -2.5 | 2.1 | 0.6 | 1.7 | 0.3 | 0.2 | -2.1 | -2.1 | -2.8 | 1.1 | -0.9 | -6.1 |
| 2010 | 1 | 0.6 | 0.4 | -1.4 | -0.8 | -0.5 | -0.1 | 2.7 | 0.4 | 0.1 | 2.1 | 0 | 4.5 |
| 2011 | 1.8 | -1.3 | 0.2 | 0.2 | -1.6 | 1.3 | -0.1 | -1.1 | -2.3 | -2.8 | -0.1 | -0.4 | -6.2 |
| 2012 | 0.8 | 0.5 | 0.3 | 0.6 | -2.2 | 2.4 | -0.1 | 0.4 | 0.3 | 0.9 | 0.1 | 1.6 | 5.5 |
| 2013 | 0.9 | 0.2 | -0.1 | -0.7 | -1.5 | 0.5 | 0.9 | -0.3 | 0.7 | -0.1 | 0.1 | 0.5 | 1.1 |
| 2014 | -0.9 | 0.1 | 0.5 | -0.1 | 0.3 | 0.9 | -0.4 | 0.1 | -1.2 | 1 | -0.7 | -1.1 | -1.6 |
| 2015 | -1.2 | -0.3 | -0.6 | 0.8 | -0.1 | 0.6 | -0.3 | -3.1 | 0.3 | -0.8 | 1 | -1.1 | -4.7 |
| 2016 | 0 | 2.5 | 0.7 | -0.4 | -0.1 | 0.4 | 0 | -0.1 | 0.7 | -0.5 | -0.5 | -0.4 | 2.3 |
| 2017 | 0.4 | 1.4 | -0.1 | 0.5 | 0.5 | 0.1 | 0.3 | 0.2 | 0.4 | 0.1 | -0.1 | -0.4 | 3.3 |
| 2018 | 0 | -1.8 | 1.6 | 0.2 | 0.9 | 0 | 0.5 | 0.1 | 0.6 | 0.8 | 0.7 | 1 | 4.6 |
| 2019 | -0.2 | 0.7 | 1.2 | -0.6 | -1.6 | 1 | -0.9 | -0.1 | -1 | 0.9 | -0.2 | 0.2 | -0.7 |
| 2020 | -1.6 | -0.3 | -3.8 | -2.4 | 0.3 | 1 | 1.5 | 1.2 | 0.8 | -1.5 | 1.2 | 0.2 | -3.6 |
| 2021 | 1.7 | 2.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-05-10 90.6 SPY 117. -0.0104 0 -0.0126 -0.03 0.0714 0.0821 -0.177 GLD 42.6 0.0021 -0.0028
2 2005-05-11 91.1 SPY 117. 0.0055 -0.0022 -0.0123 -0.0173 0.0682 0.109 -0.173 GLD 42.7 0.00120 -0.0049
3 2005-05-12 90.3 SPY 116. -0.011 -0.0129 -0.0115 -0.0317 0.0498 0.0749 -0.192 GLD 42.2 -0.0124 -0.0175
4 2005-05-13 90.0 SPY 116. -0.002 -0.0117 -0.0004 -0.0418 0.0521 0.0499 -0.188 GLD 42.0 -0.005 -0.0134
5 2005-05-16 90.9 SPY 117. 0.00930 -0.0087 0.0232 -0.0322 0.0614 0.0638 -0.174 GLD 41.9 -0.0017 -0.0157
6 2005-05-17 91.4 SPY 118. 0.0067 0.0084 0.0269 -0.0293 0.0777 0.0654 -0.149 GLD 41.9 -0.0005 -0.0183
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
